System and method for money management using a plurality of profit levels in an electronic trading environment

ABSTRACT

A system and method for money management in an electronic trading environment are presented. According to one embodiment, a money management application intercepts an order before the order is sent to an exchange, and determines a plurality of P/L levels, based on which the money management application then selects a set of money management parameters to be used to control or modify order parameters before the order is sent to the exchange. The plurality of profit levels may include a net profit level determined based on a trader&#39;s net position and a current market level, a realized profit level determined based on trader&#39;s sells and buys associated with the tradeable object, or an open profit level determined based on the realized and net profit levels. The set of money management parameters may include a maximum order quantity and a maximum net position so that, for example, if the order quantity associated with the order is higher than the maximum order quantity associated with the applicable set of money management parameters, the order quantity may be modified to the maximum order quantity.

CROSS REFERENCE TO RELATED APPLICATIONS

[0001] This application is a continuation-in-part of U.S. patentapplication Ser. No. 10/355,471, filed on Jan. 31, 2003, entitled“System and Method for Money Management in Electronic TradingEnvironment,” the contents of which are fully incorporated herein byreference.

FIELD OF INVENTION

[0002] The present invention is directed towards electronic trading.More specifically, the present invention is directed to tools forcontrolling trader's trading, assisting a trader in risk analysis, andmaking profitable trades in an electronic trading environment.

BACKGROUND

[0003] Trading methods have evolved from a manually intensive process toa technology enabled, electronic platform. With the advent of electronictrading, a user or trader can be in virtually direct contact with themarket, from practically anywhere in the world, performing nearreal-time transactions, and without the need to make personal contactwith a broker.

[0004] Electronic trading is generally based on a host exchange, one ormore computer networks, and client devices. In general, the hostexchange includes one or more centralized computers to form theelectronic heart. Its operations typically include order matching,maintaining order books and positions, price information, and managingand updating a database that records such information. The host exchangeis also equipped with an external interface that maintains uninterruptedcontact to the client devices and possibly other trading-relatedsystems.

[0005] Using client devices, market participants or traders link to thehost exchange through one or more networks. A network is a group of twoor more computers or devices linked together. There are many types ofwired and wireless networks such as local area networks and wide areanetworks. Networks can also be characterized by topology, protocol, andarchitecture. For example, some market participants may link to the hostthrough a direct connection such as a T1 or ISDN. Some participants maylink to the host exchange through direct connections and through othercommon network components such as high-speed servers, routers, andgateways. The Internet, a well-known collection of networks andgateways, can be used to establish a connection between the clientdevice and the host exchange. There are many different types of networksand combinations of network types known in the art that can link tradersto the host exchange.

[0006] Regardless of the way in which a connection is established,software running on the client devices allows market participants to logonto one or more exchanges and participate in at least one market. Aclient device is a computer such as a personal computer, laptopcomputer, hand-held computer, and so forth that has network access. Ingeneral, client devices run software that creates specializedinteractive trading screens. Trading screens enable market participantsto obtain market quotes, monitor positions, and submit orders to thehost.

[0007] Generally, when an order is submitted to a host exchange, thehost checks the conditions associated with the order, for example priceand quantity, and prioritizes the order with other orders of the sameprice. When the order conditions are satisfied in the market, a tradeoccurs and trade information is then relayed in some fashion to one ormore client devices. In fact, the host exchanges typically publish adata feed to the client devices so that the traders can have access tothe most current market information.

[0008] Market information commonly includes information regarding theinside market and market depth. The inside market is the lowest sellprice in the market and the highest buy price in the market at aparticular point in time. Market depth refers to quantities available atthe inside market and may also refer to quantities available at otherprices away from the inside market. The quantity available at a givenprice level is usually provided by the host exchange in aggregate sums.In other words, a host exchange usually provides the total buy or thetotal sell quantity available in the market at a particular price levelin its data feed. The extent of the market depth available to a traderusually depends on the host exchange. For instance, some host exchangesprovide market depth for all price levels, while some provide onlyquantities associated with the inside market, and others may provide nomarket depth at all. Additionally, host exchanges can offer other typesof market information such as the last traded price (LTP), the lasttraded quantity (LTQ), and order fill information.

[0009] To profit in electronic markets, market participants must be ableto assimilate large amounts of data, including market informationprovided by an exchange, and, accordingly, react quicker than othercompeting market participants to take advantage of profitable marketconditions. Further, because electronic trading offers tools that enabletraders to react to the market so much faster than in the traditionalpit environment, a trader risks and may lose a lot of money so muchquicker. It is therefore desirable to offer tools that can assist amarket participant in adapting his or her trading strategy to anelectronic marketplace, help the participant to make desirable trades,as well as provide means for money management and risk analysis.

BRIEF DESCRIPTION OF THE DRAWINGS

[0010] Example embodiments of the present invention are described hereinwith reference to the following drawings, in which:

[0011]FIG. 1 is an example network configuration for a communicationsystem utilized to access one or more exchanges;

[0012]FIG. 2 is a block diagram illustrating an example money managementmodule according to one embodiment;

[0013]FIG. 3 is a flow chart illustrating an example method for moneymanagement in an electronic trading environment according to oneembodiment;

[0014]FIG. 4 is a block diagram illustrating an example graphicalinterface for displaying profit/loss (“P/L”) information related to atradeable object;

[0015]FIG. 5 is a block diagram illustrating an example graphicalinterface for displaying P/L indicators for working orders associatedwith a tradeable object;

[0016]FIG. 6 is a block diagram illustrating an example graphicalinterface for displaying P/L levels for a plurality of working ordersthat a trader may enter to exit the trader's position;

[0017]FIG. 7 illustrates one example embodiment for displaying aplurality of working order indicators in combination with a Net P/Lindicator and a Realized P/L indicator.

[0018]FIG. 8 is a block diagram illustrating an example graphicalinterface for displaying a plurality of potential profit levelsdetermined based on potential market movements;

[0019]FIG. 9 is a block diagram illustrating an example money managementinterface for defining filter criteria and filter conditions;

[0020]FIG. 10 is a block diagram illustrating an example monitoringinterface that allows a trader to view market conditions and limitationsimposed on each tradeable object or a group of the tradeable objectsassociated with the created filters;

[0021]FIG. 11 is a block diagram illustrating an example graphicalinterface for displaying trader related P/L information and moneymanagement filter related data; and

[0022]FIG. 12 is a block diagram illustrating an example graphicalinterface using which a trader can configure a plurality of filters foreach P/L trigger level;

[0023]FIG. 13 is a block diagram illustrating an example graphicalinterface for displaying a money management filter band in combinationwith P/L indicators and time-based filter indicators.

[0024]FIG. 14 is a block diagram illustrating an example graphicalinterface that may be used for verifying and changing filter conditionsconfigured by a trader or a system administrator based on a plurality ofdrop off loss conditions; and

[0025]FIG. 15 is a block diagram illustrating an example interface thatdisplays potential profit drop off indicators in relation to a trader'srealized profit indicator.

DETAILED DESCRIPTION

[0026] I. Money Management Overview

[0027] The present invention provides a system that preferably operatesas a money management tool by dynamically modifying an order parametersuch as an order quantity to prevent or reduce losses or increasetrader's profits. That is, it preferably operates as a trader'sconscience or an automatic trading tool that prevents a trader fromlosing money by restricting certain orders from being sent to theexchange and/or by modifying the orders before they are sent to theexchange. By reducing potential losses that might have been caused bysuch unchanged orders, a trader or trading house can benefit withincreased profits. Additionally, the system can be programmed todynamically loosen the restrictions set on certain orders when thetrader or automatic trading tool is making money. Advantages, includingthose described directly above, will become readily apparent to oneskilled in the art upon reading the description herein.

[0028] Generally, according to a preferred embodiment, a trader or someautomatic trading tool sends an order to buy or sell a tradeable objectto an exchange. Preferably, the system intercepts the order and attemptsto match it to one or more specific filters, which have been set by atrader or system administrator. The one or more filters may be based ona plurality of filter criteria such as dynamically computed trader's P/Llevels. In one embodiment, a filter criterion may be based on arealized, net, or open P/L level, the embodiments of which will bedescribed below. When a trader enters an order, and one of the trader'sP/L levels matches one of the filters, a filter condition correspondingto that filter is applied to the order. The order can match one or morefilters, and if there is a conflict between the filters, the mostconservative condition may control. This preferred process may result insending a modified order to the exchange, preventing the order fromreaching the exchange, or sending the order to the exchange without anymodifications, the embodiments of which will be described further below.

[0029] II. Hardware and Software Overview

[0030]FIG. 1 is a block diagram that illustrates an electronic tradingsystem 100 in accordance with the preferred embodiments. The system 100includes one or more exchanges 102, 104, 106 and one or more clientdevices 108, 110, 112. Intermediate devices such as gateways 114, 116,118, routers, and other such types of client devices may be used toconnect network 120 to networks 122, 124, 126 so that client devices108, 110 and 112 and exchanges 102, 104, and 106 can communicate marketinformation. It should be understood that the present invention is notlimited to any particular system configuration. For example, networks122, 124, and 126, or client devices 108, 110, 112 could connectseparately to gateways 114, 116, 118. Of course, there are many othersystem configurations on which the preferred embodiments may beimplemented.

[0031] A. Host Exchange

[0032] Host exchanges 102, 104, and 106 may represent electronicexchanges such as, for example, the London International FinancialFutures and Options Exchange (“LIFFE”), the Chicago Board of Trade(“CBOT”), the New York Stock Exchange (“NYSE”), the Chicago MercantileExchange (“CME”), the German stock exchange-Exchange Electronic Trading(“Xetra”), or the European Exchange (“Eurex”), or any other exchange,which may include basic to more complex systems that automatically andelectronically match incoming orders. These example exchanges and otherexchanges are well known in the art. Communication protocols requiredfor connectivity to one of these exchanges are also well known in theart.

[0033] Exchanges 102, 104, 106 allow traders to log onto a market totrade tradeable objects. As used herein, the term “tradeable objects,”refers simply to anything that can be traded with a quantity and/orprice. It includes, but is not limited to, all types of tradeableobjects such as financial products, which can include, for example,stocks, options, bonds, futures, currency, and warrants, as well asfunds, derivatives and metals. The tradeable object may be “real,” suchas products that are listed by an exchange for trading, or “synthetic,”such as a combination of real products that is created by the user. Atradeable object could actually be a combination of other tradeableobjects, such as a class of tradeable objects.

[0034] An exchange 102, 104, 106 can implement numerous types of orderexecution algorithms, and sometimes the type of algorithm depends on thetradeable object being traded. The preferred embodiments may be adaptedby one skilled in the art of work with any particular order executionalgorithm. Some example order execution algorithms includefirst-in-first-out and pro rata algorithms. The first-in-first-out(FIFO) algorithm, used for some markets listed with Eurex for example,gives priority to the first person to place an order. The pro rataalgorithm, used for some markets listed with LIFFE for example, splitsall orders for the same price. The present invention is not limited toany particular type of order execution algorithm.

[0035] Regardless of the type of order execution algorithm used, eachexchange 102, 104, and 106 preferably provides similar types ofinformation to subscribing devices 108, 110, and 112. Market informationmay include data that represents the inside market, which is the lowestsell price (best ask) and the highest buy price (best bid) at aparticular point in time. Market information may also include marketdepth. Market depth refers to quantities available at the inside marketand can also refer to quantities available at other prices away from theinside market. The quantity available at a given price level is usuallyprovided by the host exchange in aggregate sums. In other words, theexchange usually provides the total buy quantity and the total sellquantity available in the market at a particular price level in its datafeed. The extent of the market depth available to a trader usuallydepends on the exchange. For instance, some exchanges provide marketdepth for all (or most) price levels, while some provide only quantitiesassociated with the inside market, and others may provide no marketdepth at all. Additionally, the exchanges 102, 104, 106 can offer othertypes of market information such as the last traded price (LTP), thelast traded quantity (LTQ), and order fill information.

[0036] B. Gateway

[0037] Gateways 114, 116, 118 are devices such as a mainframe,superminicomputer, minicomputer workstation, microcomputer that connectnetwork 120 to networks 122, 124, 126 so that market information can besuccessfully passed between client devices 108, 110, 112 and exchanges102, 104, 106. Gateways 114, 116, 118 preferably receive marketinformation from the exchanges 102, 104, and 106 and convert it to aformat compatible with the protocols used by the client devices 108,110, 112 using conversion techniques known in the art. Also, as known bythose skilled in the art, gateways 114, 116, 118 may have one or moreservers to support data feeds, such as a price server for processingprice information, an order server for processing order information, anda fill server for processing fill information. A trader at one of theclient devices 108, 110, 112 can subscribe to price information, orderinformation, and fill information for a particular market hosted at theexchanges 102, 104, and 106. The gateways 114, 116, and 118 alsopreferably receive transaction information, such as orders, orderchanges, queries, etc., from the client devices 108, 110, and 112 andforward that information to corresponding exchanges 102, 104, and 106.

[0038] B. Client Device

[0039] The client devices 108, 110, and 112 are devices that provide aninterface for traders to trade at one or more markets listed with one,some, or all of the exchanges 102, 104, and 106. Some examples of clientdevices include a personal computer, laptop computer, handheld computer,and so forth. The client devices 108, 110, and 112, according to onepreferred embodiment, include at least a processor and memory. Theprocessor and memory, both well known computer components, are not shownin FIG. 1 for sake of clarity. Preferably, the processor has enoughprocessing power to handle and process various types of marketinformation. It should be understood that more market information isreceived and processed, the more processing power is preferred. However,any present day processor has enough capability to perform at least themost basic part of the present invention.

[0040] Memory may include a computer readable medium. The term computerreadable medium, as used herein, refers to any medium that participatesin providing instructions to processor for execution. Such a medium maytake many forms, including but not limited to, non-volatile media, andtransmission media. Non-volatile media includes, for example, optical ormagnetic disks, such as a storage device. Volatile media include dynamicmemory, such as main memory or random access memory (“RAM”). Commonforms of computer-readable media include, for example, a floppy disk, aflexible disk, a hard disk, a magnetic tape, or any other magneticmedium, a CD-ROM, any optical medium, punch cards, paper tape, any otherphysical medium with patterns of holes, a RAM, a PROM, and EPROM, aFLASH-EPROM, and any other memory chip or cartridge, or any other mediumfrom which a computer can read.

[0041] The client devices 108, 110, and 112 receive market informationfrom any of the exchanges 102, 104, and 106. According to the preferredembodiments, market information is displayed to the trader(s) on thevisual output device or display device of the client devices 108, 110,and 112. The output device can be any type of display. For example, thedisplay could be a CRT-based video display, an LCD-based or a gasplasma-based flat-panel display, a display that shows three-dimensionalimages, or some other display type. The present invention is not limitedto any particular type of display.

[0042] Upon viewing the market information or a portion thereof, atrader may wish to send orders to an exchange, cancel orders in amarket, query an exchange, and so on. To do so, the trader may inputvarious commands or signals into the client devices 108, 110, and 112,for example, by typing into a keyboard, inputting commands through amouse, or inputting commands or signals through some other inputdevices. Upon receiving one or more commands or signals, the clientdevices 108, 110, and 112 preferably generate transaction information.For instance, a trader may click a mouse button to initiate an order tobuy a tradeable object. Then, transaction information would include anorder to buy a particular quantity of the tradeable object at aparticular price. There are many different types of messages and/ororder types that can be submitted, all of which may be consideredvarious types of transaction information. Once generated, transactioninformation is sent from the client devices 108, 110, and 112 to thehost exchange 102, for example, over the networks 120, 122, 124, and126.

[0043] III. Money Management and Profit-Related Information

[0044]FIG. 2 shows an example overview of the money managementapplication 200, referred hereinafter interchangeably as a moneymanagement module. The money management module 200 may be implemented onany type of computing device. In the preferred embodiment, the moneymanagement module 200 is implemented on a client device. Alternatively,the money management module 200 may be implemented on any type ofcomputing device such as a gateway, for example.

[0045] The money management module 200 preferably includes one or morefilters 202. Each filter is made up of certain filter criteria that ispreferably set by an individual, such as by a trader himself or by anadministrator. For example, the filter criteria may include criteriathat are based on the order itself, such as the name of an exchange, atradeable object, a type of order, e.g., whether the order is a buy or asell, a range of price levels, or a range of quantities. Additionally,the filter criteria may include criteria that are based on factors otherthan those related to the order, such as, for example, trader's profitand loss (“P/L”) information, last traded price, last traded quantity,theoretical values, or other variables. In such an embodiment, the moneymanagement application 200 may determine filter criteria dynamicallybased on trader-related data or order data, e.g., order data being sentfrom a client device to an exchange, or based on order-related data thatis received from the exchange in a data feed, data from any outsidesources such as employment numbers or interest rates, or any data comingfrom an exchange such as price information, for example. Dynamic filtercriteria may include a trader's net position, profit levels, a totalworking buy/sell quantity, a total filled buy/sell quantity, or any datathat is received from the exchange or outside sources such as any news.Further, the filter criteria may be time-based so that time-basedfilters may be used in combination with another set of filterconditions. In such an embodiment, if more than one filter applies tothe order, the most conservative filter conditions will control orderparameters. Alternatively, the time-based filter may suppress otherfilters for the time period associated with the filter.

[0046] As will be described in greater detail below, filter criteria maybe based on different types of P/L levels including an open, net, orrealized P/L level. Further, for example, filter criteria may be basedon any user-configurable equations that may include a plurality ofuser-configurable factors that are based on data available from anexchange or other sources. It should be understood that many otherfilter criteria are possible as well, and filter criteria may be userconfigurable.

[0047] According to an example embodiment, each filter is associatedwith one or more filter conditions that may be applied to an incomingorder if the order matches the filter criteria. This process, as will bedescribed in greater detail below, may result in sending a modifiedorder to an exchange. For example, a certain condition associated with afilter, when applied to the order, may result in modifying one or moreorder parameters, such as increasing or decreasing order quantity.Alternatively, an application of a certain filter condition may resultin preventing the order from reaching the exchange. Further,alternatively, a filter condition may result in sending the order to theexchange without modifying any of the order parameters.

[0048] It should be understood that the money management module 200 mayenable a trader or a risk administrator to configure filters as well asany filter conditions for each filter via a graphical user interface,the embodiments of which will be discussed in greater detail below. Insuch an embodiment, the graphical user interface may provide a traderwith a list of filters so that when a trader selects one of the filtersfrom the list, a second graphical user interface may be displayed, viawhich the trader may define any desired filter conditions for thatfilter. Alternatively, a single interface may be used to enable a traderto select any desired filters and define filter conditions. Further,alternatively, a trader may define filters and/or filter conditionsusing a spreadsheet application that may be linked to the graphical userinterface or money management module 200. In such an embodiment, forexample, a filter condition may be in a format of an equation, and atrader may enter the equation or change any variables in the equationusing the spreadsheet.

[0049] When a trader uses a spreadsheet, it should be understood thatany desirable data exchange protocol could be used to embed informationfrom the third party software to the money management module 200 or tothe graphical user interface that is used to define filters and filterconditions. For example, when the Microsoft Windows is used as the thirdparty software, Microsoft OLE 2.0 may be used to perform thesefunctions. In such an embodiment, Microsoft OLE 2.0 may be used toprovide a link between any filter condition and a cell from a MicrosoftEXCEL spreadsheet. Data exchange protocols in general, and linking aswell as embedding techniques in particular, are well known to thoseskilled in the art. It should be understood that when an equation isused to define a filter condition, every time a value of one of theequation variables changes, the spreadsheet application or any otherthird party software may dynamically calculate a new value for thefilter condition associated with the equation. Thus, when an ordermatches a certain filter associated with such an equation, the moneymanagement module 200 may apply the most recently calculated filterconditions provided by the spreadsheet application, for example.

[0050] It should be understood that an individual trader can uniquelyset filters and filter conditions to suit his or her individual tradingrisk strategies. In one embodiment, the trader could program the moneymanagement filters and conditions in a variety of ways and at any timesuch as before trading begins or on the fly. Alternatively, a systemadministrator who oversees a number of traders may set up a number offilters and filter conditions for a group of traders or for individualtraders, thus creating a money management program that controls tradesof the group of traders. Then, when a trader in that group inputs a neworder, the money management module 200 can execute the program byapplying the pre-configured filter criteria and filter conditions to theorder.

[0051]FIG. 3 is a flow chart illustrating an example method 300 formoney management in an electronic trading environment. According to anexample embodiment, the money management module 200 may perform themethod 300. The example method 300 includes receiving an order at step302, applying a first filter at step 304, determining if the filter isapplicable to the order at step 306, then, if the filter is applicable,applying conditions associated with the filter at step 308, anddetermining if there are any other filters to be applied to the order atstep 310. If there are any other applicable filters, the method 300includes retrieving the next filter at step 314, and then repeatingsteps 304, 306, 308, and 310 until there are no more filters that areapplicable to the order. If there are no more filters, the method 300includes, at step 312, processing the order based on the appliedconditions.

[0052] At step 302, money management module 200 detects a new orderbeing placed by a trader. It should be understood that a trader mayinput a new order using many different trading applications andinterfaces. In one embodiment, a trader may use a commercially availabletrading application, X_TRADER® from Trading Technologies International,Inc. of Chicago, Ill., that allows the trader to trade in a system likethe one shown in FIG. 1. X_TRADER® also provides an electronic tradinginterface, referred to as MD Trader™, in which working orders and/or bidand ask quantities are displayed in association with a static axis ofprices. Portions of the X_TRADER® and the MD Trader™-style display aredescribed in U.S. patent application Ser. No. 09/590,692, entitled“Click Based Trading With Intuitive Grid Display of Market Depth,” filedon Jun. 9, 2000, U.S. patent application Ser. No. 09/971,087, entitled“Click Based Trading With Intuitive Grid Display of Market Depth andPrice Consolidation,” filed on Oct. 5, 2001, and U.S. application Ser.No. 10/125,894, entitled “Trading Tools for Electronic Trading,” filedon Apr. 19, 2002, the contents of which are incorporated herein byreference. Further, it should be understood that orders may be placedusing any automatic trading application as well.

[0053] However, the preferred embodiments are not limited to anyparticular product that allows a trader to input orders and trade in thesystem like the one shown in FIG. 1. Further, it should be understoodthat the money management module 200 and a trading application may sharecommonly used information so that, for example, the money managementmodule 200 may have access to any data provided via data feeds from anexchange, such as information related to any fills related to orderssubmitted by a particular trader, and also to any data entered by atrader via a trading application interface.

[0054] When the new order is detected, at step 304, the money managementmodule 200 may access a set of pre-configured filters and then may applya first filter to the order. It should be understood that a filter mayinclude one or more filter criteria, such as, for example, a trader'sidentifier, a name of a predetermined tradable object, a type of theorder, e.g., a buy or a sell, or any other trader-related filtercriteria such as criteria related to trader's performance, for example.Then, at step 306, the money management module 200 determines if one ormore criteria associated with the first filter apply to the receivedorder. It should be understood that a filter may include one or moreuser configurable criteria. If a filter includes a plurality of filtercriteria, the order preferably matches all identified filter criteriafor the filter to be applicable.

[0055] If the filter applies to the order, at step 308, the moneymanagement module 200 applies one or more conditions associated with thefilter to the order parameters. For example, the application of a filtercondition to an order may result in decrementing or incrementing thequantity associated with the order when the order is submitted to theexchange. If the money management module 200 determines that the firstfilter does not apply to the order, the method 300 continues at step310, and the money management module 200 determines if there are morefilters to be applied to the order. If there are any other filters, atstep 314, the money management module 200 selects a next filter from thelist of filters, and the method 300 continues at steps 304, 306, 308,and 310.

[0056] It should be understood that if two or more filters areassociated with the same condition imposing different restrictions, suchas, for example, decreasing order quantities to two different values,the most conservative (the lowest) order quantity associated with thefilter criteria could be used to modify the quantity in the originalorder. Alternatively, a trader or system administrator may configurefilter conflict rules that may be used by the money management module200 to determine which filter condition, if any, should be applied tothe order.

[0057] Referring back to step 310, if there are no more filtersapplicable to the order, at step 312, the money management module 200applies conditions imposed by the filter(s) to parameters associatedwith the order. Once the money management module 200 applies the filtersto the incoming order, the order may be sent to the exchange. Asillustrated in FIG. 3, at block 312, sending the order to the exchangemay involve sending the original order with no conditions, e.g., theoriginal order with its non-modified order parameters, or sending theoriginal order with conditions, e.g., the original order having one ormore of its order parameters modified based on the conditions of theapplicable filter(s). Further, alternatively, the application of filterconditions may result in not sending the order to the exchange, e.g.,effectively preventing the order from reaching the exchange. If theorder is rejected because one of the money management filter conditionsprevents the order from being sent to the exchange, a message may bedisplayed for a trader so that a trader is aware that the order was notsent to the exchange. Alternatively, a message may also be displayed toinform a trader of any order modifications such as order quantitymodifications, for example.

[0058] In addition to its money management functionality, the moneymanagement module 200 may also determine and display to a trader via oneor more graphical interfaces, in combination with or separately from themoney management filters, one or more P/L level indicators that mayallow a trader to view his/her profit information at any time during atrading day and that may assist a trader in making profitable trades.The next few figures, FIGS. 4, 5, 6, 7 and 8 illustrate examplegraphical interfaces that display profit related indicators associatedwith a plurality of profit levels. Then, FIGS. 9, 10 and 12 illustrateexample graphical interfaces that enable a trader to configure and viewfilters and filter conditions that may be used for automatic moneymanagement. FIGS. 11 and 13 displays an example graphical interface thatmay be used to display money management filters and profit indicators.Then, FIGS. 14 and 15 are example graphical interfaces that displaypotential loss drop-off indicators that may be used to verify filterconfigurations and to assist a trader in making new trades and his/hertrading strategy. However, it should be understood that the graphicalrepresentations of profit related information as well as filters andfilter conditions given below are only examples, and those skilled inthe art will recognize that modification or changes within the scope ofthe present invention may be made without departing from the spiritthereof. Also, it should be understood that the present invention is notlimited to the number of filters or filter conditions presented in eachfigure, nor is it limited to the example layouts, and the moneymanagement interface as well as profit indicators may be configured in avariety of different ways based on user preferences.

[0059] As will be illustrated in reference to the subsequent figures, agraphical interface may display to a trader a plurality of P/Lindicators that may assist a trader in making profitable trades as wellas allow a trader to view his current as well as potential P/L levels atany time during a trading day. More specifically, the P/L indicatorsinclude indicators corresponding to realized, net, and open P/L levels,the methods of calculating each of them will be described hereinafter.

[0060] The realized P/L level is based on a difference between the totalsell price and the total buy price associated with trader's tradesrelated to a tradeable object. Therefore, the realized P/L level may becalculated using the following formula:

Realized P/L=Sells−Buys  EQN (1)

[0061] In one embodiment, the Realized P/L is calculated when thetrader's net position is zero such as, for example, when a trader buys30 lots first and then sells 30 lots. Alternatively, the Realized P/Lcould be determined when a trader's net position crosses zero. In suchan embodiment, for example, when a trader initially buys 30 lots at 100,and then sells 50 lots at 101, the Realized P/L may be determined basedon 30 buys at 100 and 30 sells at 101, leaving the net position of 20.Further, alternatively, the Realized P/L may be determined by mappingeach new fill to one of the quantities associated with the net position.For example, if the net position is 30, and a new fill of 2 associatedwith a sell order is detected, the quantity of 2 may be matched with oneof the buy order quantities that got filled to establish the netposition of 30, thus creating a new net position of 28. It should beunderstood that matching of the orders may be done in any manner. Forexample, if a trader entered a plurality of buy orders to establish theposition of 30, the sell order quantity may be matched with a buy orderquantity and price associated with the first buy order. Alternatively,the sell quantity may be matched with a buy order quantity and priceassociated with the last buy order that was entered to create the netposition of 30. Further, alternatively, an average buy price may becalculated for all buy orders, and the average price of all orders maybe used as a basis for determining the Realized P/L. It should beunderstood that a user could also define how and when the Realized P/Lis calculated. According to an example embodiment, the Realized P/Llevel may be dynamically updated based on market updates being receivedfrom one or more exchanges so that the Realized P/L level may be updatedevery time one of the conditions described above is detected.

[0062] Next, the net profit level may be determined when the trader'snet position is non-zero, such as when the trader holds a position onthe market. Therefore, the net profit level is determined based on thetrader's net position and the current market conditions, such as thelast traded price being received from the exchange. Preferably, the netposition is calculated based on the buy and sell orders that have beenfilled excluding working orders, which may be used for risk analysis, aswill be described below. It should be understood that when the trader'snet position or the last traded price changes, the net P/L level isdynamically recalculated to reflect each change.

[0063] The net profit level may be calculated using the followingformula:

Net P/L=(Sells−Buys)+(Net Position×Market Price)  EQN (2)

[0064] Referring to EQN (2), the first factor “(Sells−Buys)” correspondsto the cost of every buy and sell that a trader has made, and the secondfactor “(Net Position×Market Price)” is an adjustment factor as if thetrader was to trade out of his open positions in the current market,such as based on the last traded price corresponding to a predeterminedtradeable object. Therefore, using the net P/L, the trader can easilydetermine the profit or loss that the trader would incur if he/she wereto close the pending positions at the last traded price. Therefore,referring to the example given above of the 30 buys at 100, and then 50sells at 101, and using EQN (2), the Net P/L would be 30, i.e.,(5050−3000)+(−20×101)=2050−2020, which is 30. It should be understood,however, that other prices other than the last traded price could alsobe used to reflect the current market conditions. For example, a bid/askprice at the inside market could be used in place of the last tradedprice so that when a trader's net position is negative, the bid price atthe inside market is used, and when a trader's position is positive, theask price at the inside market is used instead. It should be understoodthat different or equivalent prices could also be used.

[0065] The Net P/L may be used as a factor in any other equations tocalculate different types of P/Ls. For example, the Open P/L could becalculated by subtracting the Realized P/L from the Net P/L. The OpenP/L level may be calculated using the following formula:

Open P/L=Net P/L−Realized P/L  EQN (3)

[0066] Using the Open P/L, the trader can easily view the risk that thetrader is taking by keeping his positions opened at the current marketlevel. Referring to the example above, at the time when the traderinitially gets into the position of −20 by selling 50 contracts at 101while having the open position of 30 that he/she entered at 100, theOpen P/L is zero as there has been no market movement since the traderentered into the position of −20, i.e., sold 50 lots at 101. However,once the market moves and reaches the last traded price of 100, forexample, the market move is favorable to the trader since the trader hasthe open position of −20 that he entered by selling at 101. Therefore,the Net P/L is 50 [(5050−3000)+(−20×100)], and the Open P/L is 20(50−30), indicating that the trader is making money in the currentmarket, and would realize the P/L of 50 if he were to close at thecurrent market level of 100, causing the Net P/L value to be added tothe Realized P/L. It should be understood that the formulas in EQNs (1)and (2) are only examples, and different formulas could also be used.For example, any market fees and transaction costs can be subtractedfrom the Realized P/L in EQN (1).

[0067]FIG. 4 is a block diagram illustrating an example graphicalinterface 400 for displaying P/L information related to a tradeableobject being traded by a trader at one or more electronic exchanges.

[0068] As illustrated in FIG. 4, the interface 400 displays a number ofgraphical and numerical indicators corresponding to the Realized P/L andNet P/L levels. More specifically, graphical indicators 424 and 426correspond to the Realized and Net P/Ls, respectively, and the numericalindicators 404, 410 display actual values (120, 200) corresponding tothe two P/L levels. It should be understood that the distance betweenthe net and realized indicators corresponds to the Open P/L. Thus, inthe embodiment illustrated in FIG. 4, where the P/L scale (x-axis)increases to the left, the Open P/L is positive and indicates that thetrader is making money in the current market. It should be understoodthat the x-axis could also display values increasing from left to rightas well. More specifically, as illustrated in the indicator 416, theOpen P/L is 80. Additionally, the height of the Net P/L indicator maycorrespond to the trader's Net Position. In the embodiment illustratedin FIG. 4, the quantity scale, that in this and following examples isused to display the Net Position, is displayed on the y-axis of thegraphical indicator window, and the height of the indicator 426corresponds to the net position of 25. However, instead of displayingthe net position in relation to the quantity axis, a numerical valuecorresponding to the net position could be displayed in relation to theindicator 426.

[0069] It should be understood that the indicator 426 is preferablycolor-coded to distinguish a long (positive) position from a short(negative) net position. For example, red and blue could be used wherethe red indicator would correspond to the short position, and the blueindicator corresponds to the long position. However, different colorscould also be applied to the indicator. Additionally, it should beunderstood that the graphical display could be configured in any mannerso that the values on the x-axis, for example, in this Figure as well assubsequent Figures could increase in a traditional manner to the rightrather than to the left. Further, the axis could be displayed in anymanner as well, such as at angles that can be user configurable.

[0070] Additionally, as will be explained in greater detail below, eachgraphical profit indicator may be mapped to and displayed in one of aplurality of money management regions that correspond to a plurality ofmoney management filters. As mentioned in earlier paragraphs, a moneymanagement filter is defined using one or more filter criteria and isassociated with a set of parameters that control trader's trading.According to one example embodiment, a filter criterion corresponds to apredetermined profit range, and the controlling parameters may define amaximum order quantity that a trader may submit with any order, and amaximum net position that the trader may hold based on the trader'sprofit level. Further, it should be understood that a trader or a systemadministrator may configure which of the P/L levels controls selectionof the filters. Thus, for example, if a trader places an order that hasan order quantity higher than a maximum order quantity defined by thefilter associated with the trader's Net or Open P/L level, then, beforethe order is sent to the exchange, the order quantity is modified to thevalue associated with the maximum order quantity defined by the filter.It should be understood that the Net P/L level, Open P/L level, theRealized P/L level, or a combination thereof may determine the filterselection for the money management purposes, and the maximum orderquantity as well as the maximum net position may be determined using anequation defined for each filter so that more than one order quantitycan be associated with each filter.

[0071] Using the Open or Net P/L level as a filter criterion, the moneymanagement module may guard and limit trader's losses if the marketmoves in a direction that is not favorable to a trader. Then, the changein the trader's Open and Net P/Ls, which dynamically change based on themarket movement, may consequently move the trader to the lower/higherfilter associated with a higher/lower maximum order quantity and maximumnet position. Therefore, when the market moves against the trader'sposition, the trader will be allowed to trade lower order quantities ascompared to order quantities that a trader may trade if the market movesin a direction favorable to a trader. Additionally, when the marketmoves against the trader's position, the money management module mayprevent the trader from further increasing his net position bypreventing another order that would increase the trader's net positionfrom being sent to the exchange.

[0072] It should be understood that when a system administrator sets upa number of money management filters for one or more traders, eachtrader may also create his own set of filters. The trader-createdfilters may be based on the same or different filter criteria andassociated filter conditions as the filters created by theadministrator. In such an embodiment, the money management module mayapply two sets of filters to an incoming order, and if two or moreapplicable filters conflict, the most conservative filter condition maybe selected to control the orders being sent to the exchange. Thisembodiment may be especially useful when a trader is willing to riskless than what he is allowed to based on the filters that have been setup by the system administrator.

[0073] As mentioned in earlier paragraphs, the filter conditions mayinclude a maximum order quantity and a maximum net position. Referringback to FIG. 4, according to one example embodiment, in addition todisplaying P/L graphical indicators, the graphical interface 400 mayalso display filter conditions determined for each P/L level. As shownin FIG. 4, the trader's Realized P/L 404 corresponds to a moneymanagement filter associated with a maximum order quantity 406 of 24 anda maximum net position 408 of 40. Further, as shown in FIG. 4, the NetP/L 410 corresponds to a different money management filter associatedwith a maximum order quantity 412 of 44 and a maximum net position 414of 88. Then, the Open P/L 416 is associated with the filter conditionsincluding a maximum order quantity 418 of 30, and a maximum net position420 of 50.

[0074] The graphical interface 400 may also display numerical profitlevels including the trader's maximum, minimum, and current realizedprofit levels of 414, −249, and 120, as shown at 422. It should beunderstood that the P/L levels do not necessarily have to reflect theP/L levels determined for the entire trading day interval.Alternatively, a trader may select a shorter time interval, such as thelast hour, for which the maximum, minimum, and current realized P/Llevels may be determined, and the values of which may be dynamicallydisplayed via the graphical interface. Additionally, it should beunderstood that the graphical interface 400 may also display numericalvalues for maximum, minimum, and current profit levels related to otherP/L levels, such as the Net P/L and/or Open P/L levels.

[0075] According to an example embodiment, positions of profitindicators on the graphical interface may be dynamically updated everytime a new P/L level is recalculated based on market condition changes,such as last traded price changes, or based on changes in the trader'snet position. Preferably, the re-calculation is done dynamically basedon information being provided from the exchange, and every time a newnet position or last traded price is detected, the P/L levels arerecalculated. Once the P/Ls are recalculated, the respective P/Lindicators, the Net and Open P/L indicators in this example, may berepositioned to the new level to reflect the change. Similar updates mayoccur when a changed in the trader's net position is detected.

[0076] It should be understood that the example embodiments fordisplaying trader's profit related information are not limited to thedisplay illustrated in FIG. 4. For example, if a trader simultaneouslytrades a plurality of tradeable objects, the graphical interface couldbe divided into a plurality of windows or areas, and each window maydisplay graphical and/or numerical profit level indicators associatedwith one of the plurality of tradeable objects being traded by thetrader.

[0077] Further, in addition to calculating P/L levels for each tradeableobject, the P/L levels could be determined for all or a selected groupof tradeable objects being traded by the trader at one or moreexchanges. In such an embodiment, the trader may view, in addition to orinstead of P/L levels determined for a specific tradeable object,his/her overall and dynamically updated P/L levels. However, if thetradeable objects are being traded at different denominations, the moneymanagement module or the trading application may convert the P/L levelscorresponding to each tradeable object to the common tick or currencyvalue that is then used to calculate a cumulative P/L level. Further,alternatively, once a trader or a system administrator selects which ofthe P/L levels controls the money management filter selection, thegraphical interface may display only filter conditions, e.g., themaximum order quantity and the maximum net position, corresponding tothat filter.

[0078] Alternatively, instead of displaying indicators associated withP/L levels determined throughout the trading day, a trader could insteadreset P/L levels to a zero level at any time during a trading day. Insuch an embodiment, the displayed P/L level is based on a P/L calculatedfrom the zero level starting from the time when a resetting input wasdetected. The resetting input may be received via many means including,for example, any graphical selection input, or any key-combinationinput. In one example embodiment, once the reset input is detected, onlythe reset P/Ls are displayed, and a trader may switch back to thecumulative P/L by selecting the same resetting selection input.Alternatively, when the trader selects the reset input, the cumulativeand reset P/L values may be displayed using different indicators.Further, as will be described below, since the P/L values control thefilter selection, once the P/L is reset, the most conservative filtermay control the trader's trading since the trader starts trading fromthe zero P/L level. Alternatively, the cumulative P/L may still controlfilter selection, while the graphical interface displays the reset P/Llevels. Further, a trader may select which of the P/L levels is reset.For example, a trader may reset only the Realized P/L or only a Net P/L.

[0079] It should be understood that the graphical indicators that areused to display P/L levels are not limited to any specific format, andthe indicators could have any format and could be user-configurable. Forexample, the open, realized, and net P/L indicators may be distinguishedusing different colors or different indicator types. The indicatorscould also be displayed in any manner, such as horizontally, vertically,or at any angle, and in association with any trader-related ormarket-related information.

[0080] In addition to displaying profit level indicators, the graphicaluser interface 400 could also be used for sending orders to one or moreelectronic exchange. For example, the net P/L indicator 426 may beassociated with an order-sending component for receiving a command tosend an order to an electronic exchange as a result of a selection of anarea in relation to the indicator 426 and detecting a predetermined keycombination input. Alternatively, a graphical selection order inputindicator could be displayed in relation to the indicators via thegraphical user interface 400 so that once the graphical selection orderinput indicator is enabled, a trader may simply select an area inrelation to the indicator 426 to send the order to the exchange. In apreferred embodiment, an order may be sent to the exchange uponselecting the indicator 426, and an order quantity may be based on atrader's net position and may be set to a quantity lower than, higherthan, or equal to the trader's net position. Then, the price of theorder may be determined based on a current net P/L, so that the price ofthe order may be based on a current market level. Alternatively, anotherP/L level in association with the indicator 426 may be selected, and theprice of the order may be determined based on the selected P/L level andbased on the price level associated with orders associated with the netposition level.

[0081] In addition to displaying current Open and Net P/L levels, thegraphical interface may also display one or more profit levels that arebased on potential future market movements. For example, the graphicalinterface may display profit levels that are based on potential marketmovements when the market goes against the trader's position, thus,providing to a trader a graphical representation of potential risk.

[0082]FIG. 5 is a block diagram illustrating a graphical interface 500for displaying a plurality of profit level indicators including theindicators associated with working orders that a trader may place on themarket to completely trade-out of his net position.

[0083] The graphical interface 500 displays profit related indicatorsdetermined for the tradeable object XS 502, and includes a realizedprofit indicator 504 at the P/L of 110, a net profit indicator 506 atthe P/L of 220, and two additional profit indicators 508 and 510determined based on two working orders that a trader has placed in themarket to offset his current net position of −50. For example, theindicator 508 may be associated with a working buy order having apredetermined order quantity equal to the current net position, placedat the price level of (LTP−X), where X corresponds to a number of ticksaway from the current LTP. Thus, the profit level associated with theindicator 508 illustrates a Realized P/L if the working order getsfilled. Then, the indicator 510 may correspond to a stop/limit orderthat a trader has placed on the market at a price level higher than thelast traded price (LTP+X) to minimize his losses in case his workingorder associated with the indicator 508 does not get filled and themarket moves against his position.

[0084] It should be understood that the method of calculating the profitlevel corresponding to the stop working order may vary based on systemconfigurations that are used for placing the stop orders. For example,“X” may correspond to the price that triggers placement of the order onthe market, and then the price where the actual order is placed on themarket may vary based on the order configuration. For example, once atrigger price (stop price) is detected, the order may turn into anotherorder, the type of which may depend on the trader's configuration. Forexample, the actual order may be a limit order configured at a limitprice that may be set to the stop price plus/minus an offset. The offsetparameter may be statically set by a trader, or may be dynamicallydetermined based on how fast the market moves, and in what direction themarket moves at the time when the trigger price is detected. Forexample, a positive or negative offset may be added to X to increase thechances of the order getting filled. If such an offset is used, themoney management module or the trading application may consider theoffset in calculating the profit level associated with the workingorder. Alternatively, an offset of zero could be used so that when themarket reaches the stop price, the order is placed at the stop price.Those skilled in the art will realize that many different variations arepossible as well. For example, instead of placing a limit order, amarket order could be used instead so that once the stop price isdetected, the order is placed at the market price so that in the fastmoving market, the price at which the order is placed on the market maybe a few ticks away from the stop price. In an embodiment when the orderis defined as a market order, the working order indicator may displaythe profit level as if the order was to get filled at the stop pricerather than any other price.

[0085]FIG. 6 is a block diagram illustrating a graphical interface 600for displaying Net P/L levels for a plurality of working orders that atrader may enter to get out of the trader's position.

[0086] In FIG. 6, let's assume that a trader's buy order having an orderquantity of 30 gets filled at the price of 100 so that the trader's netposition is now 30. Let's then assume that before or after the firstorder gets filled, the trader places four sell orders to offset hiscurrent net position of 30. For example, the four sell orders include afirst order having an order quantity of 20 at the price of 101 (20@101),a second order of 3@102, a third order of 5@103, and a fourth order of2@104.

[0087] Referring to FIG. 6, the x-axis corresponds to the total P/Lassociated with working orders, and the y-axis corresponds to thequantity. Additionally, each working order is depicted using anindicator, the length of which corresponds to the order quantity of eachworking order. Also, according to an example embodiment, since theworking orders are entered to offset the net position, the first workingorder is displayed at the quantity level corresponding to the netposition. For example, even if only one working order has the orderquantity lower than the net position, the top of such a working orderindicator will be displayed at the level of the net position, and thelength of the indicator will correspond to the working order quantity.Therefore, for example, an indicator 602 corresponds to the firstworking order, where the top of the indicator is displayed at the levelof the net position of 30, and the length of the indicator correspondsto the quantity associated with the first order.

[0088] Additionally, each working order indicator is displayed inrelation to the P/L level. The indicator 602 is plotted at the P/L levelof 30 since the first working order corresponds to a price that is onetick higher than the originally filled order, and one tick movementbased on the total working order quantity of 30 corresponds to theprofit tick movement of 30. Then, assuming that the first working ordergets filled, the total working order quantity would decrease to 10, andeach one tick P/L movement would cause the P/L to move by 10 ticks,respectively. Therefore, the indicator 604 corresponding to the secondorder is plotted at the total quantity level of 10 and the P/L of 40,where the length of the indictor corresponds to the order quantity of 3.The indicators 606 and 608 are plotted using the same method andcorrespond to the third, and fourth orders. Therefore, if all workingorders were to get filled, the trader would realize the P/L of 49.

[0089] In the embodiment illustrated in FIG. 6, the order in which theindicators are illustrated corresponds to their prices since if themarket sweeps through the working orders, the first order will getfilled before the second order, and the second order will get filledbefore the third order, etc. It should be understood, however, that ifthe order quantity corresponding to the working orders is higher thanthe filled quantity of 30, in this example, the remaining quantityrepresents the start of the next net position and may be graphicallydisplayed in relation to the fourth working order indicator 610. Forexample, a graphical indicator with a number corresponding to theremaining working quantity could be displayed.

[0090] Additionally, it should be understood that a trader could modify,delete, or add working orders using the graphical interface 600. Eachworking order may be associated with an order sending component such asthe one described in relation to the net P/L indicator in FIG. 4. Forexample, a trader could modify a working order quantity of each workingorder by simply clicking on each working order indicator. In such anembodiment, a selection of the indicator may enable a display of awindow, via which a trader can change the order quantity and the orderprice. Alternatively, a trader could simply drag the length of theindicator to modify the quantity associated with the order and also dragthe indicator to a desired P/L level location. A trader could alsodelete a working order by simply selecting the working order indicatorand then entering a delete selection input, which may include agraphical identifier or any key combination input.

[0091] A trader could also enter new working orders using the methodsdescribed in reference to FIG. 4, where instead of selecting an area inrelation to the net P/L indicator, the trader could select the area inrelation to one or more working orders. For example, referring to theexample given above, if a trader has a first working order having theorder quantity of 20 at 101, and the second order having the orderquantity of 10 at 103, a trader may input another working order betweenthe two orders by entering a predetermined selection input, such asentering a predetermined key combination, or a mouse input, and theninputting an order quantity via a pop-up window. It should be understoodthat once the order is entered, the P/L level at which the order isentered may be used to determine a price level at which to enter theorder. The price could be determined by reversing the method that wasused to determine P/L levels for the working orders. Therefore, theprice level for a working order may be determined relative to the priceof the filled order, i.e., 100 in this example.

[0092] In one embodiment, once a new working order is entered, and thetotal working order quantity is higher than the quantity associated withthe original fill, i.e., 30 in this example, the order quantity of theoriginal second order may be modified to 5 so that the sum of thequantities is still equal to 30. Alternatively, the order quantity ofthe original second order may remain the same, so that when all workingorders are filled, the trader will end up with a net position of −5,since the working order is this examples are sell working orders.Therefore, a trader may input working orders when a fill quantity isdetected for another order so that the working orders are used to exitthe net position.

[0093] Additionally, a working order trade-out mechanism may be providedso that when a predetermined selection input is detected, and then atrader selects one of the working order indicators, for example, theorder quantity corresponding to that order could change to a quantitythat is required to get out of the net position. The predeterminedselection input can correspond to a graphical indicator, a keycombination input, or any other input means. For example, if the traderenables the automatic working order trade-out, the trader can select theindicator 604, which would then cause the working order quantity of 3 tobe changed to the working order quantity of 10. The working ordertrade-out mechanism may then cause the third and fourth orders to bedeleted. Alternatively, the third and fourth order may remain on themarket, but the fill of the orders would result in a non-zero netposition.

[0094] The working order indicators could be also displayed incombination with the Net P/L indicator and the Realized P/L indicator.FIG. 7 illustrates one example embodiment for displaying a plurality ofworking order indicators in combination with a Net P/L indicator and aRealized P/L indicator.

[0095] The graphical interface 700 displays a Realized P/L indicator702, a Net P/L indicator 704 that is based on a market price and the netposition that a trader is holding, so that the indicator 704 moves basedon the market movements. The graphical interface also includes aplurality of working order indicators 706, 708, 710, and 712. Therefore,when the market moves to the price level associated with the firstworking order 706, and the order gets filled, the Net P/L indicator willmove to the P/L level corresponding to the first order 706.Additionally, since the net position will be decreased as the result ofthe fill, the length of the Net P/L indicator will decrease as well. Anexample, Net P/L indicator 714 is displayed to illustrate such anembodiment. It should be understood that if the market moves to pricelevels associated with other working orders, the Net P/L indicator willmove to the P/L positions associated with the orders, and the length ofthe Net P/L indicator will decrease respectively. Therefore, once allworking orders get filled, and if the working order quantity is equal tothe net position, the Realized P/L indicator 702 will move to the P/Llevel corresponding to the working order indicator 712.

[0096]FIG. 8 is a block diagram illustrating a graphical interface 800for displaying a plurality of net profit levels based on potentialmarket movements. More specifically, the graphical interface displays aNet P/L level indicator 802 associated with a Net P/L level of 390 and aNet position (“NP”) of 50. The graphical display interface 800 displaysa number of graphical indicators associated with a plurality ofpotential P/L levels that may result when the market moves against thetrader's position, e.g., as if the trader were to get out of or closehis position at that point in time. As shown in FIG. 8, three potentialprofit levels 804, 806, and 808 are illustrated based on the marketdropping by 1, 2, and 3 ticks from the current market level,respectively. Using the potential profit indicators 804, 806, and 808,the trader can easily view potential profit levels such as if the marketwas to move against the trader's position. Thus, for example, if themarket moves 1 tick against the trader's position, the trader's netprofit, as shown at 804, will decrease to 340 (390-current Net P/L minus50-net position multiplied by 1 tick). Similarly, as shown at 806 and808, if the market moves 2 and 3 ticks down from the current marketlevel, the trader's net profit will decrease to 290 and 240,respectively.

[0097] It should be understood that the potential net P/L indicators maybe based on the trader's average loss. In such an embodiment, the moneymanagement module may determine a trader's average loss during a tradingday based on an average number of ticks that a trader tends to lose onlosing trades. For example, the money management module may dynamicallyupdate the trader's average loss during a trading day based on thetrader's performance. Alternatively, the trader's average loss maycorrespond to a specific time interval such as the last hour of thetrader's trading. It should be understood that a trader or systemadministrator may specify how and based on what time interval theaverage loss is calculated. Then, the trader's average loss may be usedto determine another set of potential Net P/L indicators. It should beunderstood that many different embodiments are possible as well. Forexample, all potential net P/L loss indicators displayed via theinterface 800 may be based on the trader's average loss rather than thefixed tick loss. For example, the indicator 806 could correspond to apotential Net P/L determined based on the trader's average loss, theindicator 804 may correspond to Net P/L determined based on one half ofthe trader's average loss, and the indicator 806 may correspond to NetP/L determined based on twice the trader's average loss.

[0098] The average loss, similarly to the realized P/L level, may becomputed when the trader's net position reaches or crosses the zerolevel. It should be understood that different indicators associated withthe trader's loss information can be displayed as well. For example, themoney management module or the trading application could compute apercentage of losing orders (e.g., orders that resulted in the loss ofprofit), and the average cost of each loss, the values of which could bedisplayed via the graphical interface 800. Further, as will be describedin greater detail below, trader's average loss could also be used as oneof the factors in determining when the trader is moved to the lowermoney management filter.

[0099] As mentioned in earlier paragraphs, the open, net, and realizedP/L level indicators may be displayed in combination with the graphicaldisplay of money management filters so that the trader not only can viewhis profit levels but also can quickly and clearly view any tradingconstraints (controlling parameters) that he/she might have to use ifthe market moves in or against his/her position. According to oneexample embodiment, a money management filter may be defined using oneor more filter criteria and filter conditions. For example, filtercriteria may include one or more of the following criteria: Open P/L,Realized P/L, Net P/L, trader's net position, available credit, a numberof transactions, a transaction/fill ratio, a change in net position, ora type of tradeable object, and any other trader-related ormarket-related data. Further, as mentioned in earlier paragraphs, itshould be understood that the P/L levels associated with filter criteriamay be calculated for a specific tradeable object or a combination oftradeable objects being traded by a trader.

[0100]FIG. 9 is a block diagram illustrating an example money managementinterface 900 that a trader or a system administrator may use to definefilter criteria and filter conditions.

[0101] According to one embodiment, a trader or a system administratormay define via a profile name window 902 a filter profile that mayinclude a combination of filters. The filters in the filter profile maybe based on different filter criteria, however, if two or more filtersare applicable to the incoming order, and their filter conditionsconflict, the most conservative filter condition will preferably beused. Alternatively, a filter may be configured so that only filterconditions associated with the filter will control order parameters evenif another filter associated with a different set of filter conditionsapplies. Further, the profile may be created for a predeterminedtradeable object or a group of tradeable objects being traded by thetrader, and the trader may select one or more tradeable object to beassociated with the profile using a tradeable object pull down menu 904.In the embodiment illustrated in FIG. 9, the filter criteria 906 arebased on the Open P/L level, and each filter is associated with a P/Lthreshold level 908 that then maps to a number of filter conditionsincluding a maximum order quantity 912 and a maximum net position 914.However, it should be understood that the filter criteria may be basedon the Net P/L level or a combination of different P/L levels. Inaddition to each P/L threshold level, a trader may also define one ormore retraction levels that are configured to limit trader's losses oncea trader reaches a predetermined profit level. It should be understoodthat the profit levels and retraction levels may be defined using manymethods. For example, the profit levels and retraction levels may bedefined in ticks or currency, and the retraction levels could also bedefined as a percentage of the maximum P/L.

[0102] Referring to the example in FIG. 9, when a trader reaches theOpen P/L level of 10, the trader may trade the maximum order quantity of5 and may hold the maximum net position of 10. As mentioned earlier, thenet position may be determined using different methods, and a trader orsystem administrator may define which orders are taken intoconsideration to calculate the net position. As shown in FIG. 9, oncethe trader's open P/L reaches the value of 10 and then falls to thelevel of 7, as shown in the retraction level column 910, the trader'sability to trade is limited to the order quantities of 3 and the maximumnet position of 6. Referring to the next retraction level under the sameOpen P/L threshold level, when the trader's Open P/L reaches the levelof 5, the trader is limited to trade order quantities of 3 to trade downto the position of 0.

[0103] Once a trader creates a filter profile, the trader may save theprofile by simply selecting a save selection input 916. Alternatively,the trader may quickly delete the profile by selecting a deleteselection input 918. Further, alternatively, the trader may quickly exitthe money management setup interface 900 by selecting a cancel selectioninput 920. Once the filter profile is saved, the trader may easilyretrieve and edit the profile's filter criteria and conditions byselecting the profile's name using the pull down profile menu 902. Inone embodiment, when a system administrator configures money managementfilters for a group of traders, the system administrator may set upauthorization rules defining one or more traders or systemadministrators who can create, edit, enable, disable, or reset limitscreated for the group of traders.

[0104] Filter selection may be modified based on the trader'sperformance such as a percentage of losing trades, or average cost ofall losses incurred by a trader during a trading day. In one exampleembodiment, in addition to selecting a specific filter for a traderbased on a trader's P/L level and other parameters described above, themoney management module may monitor a number of losing trades associatedwith the trader when the trader is being controlled by a predeterminedfilter and then use that number as a filter selection overridingmechanism. For example, a trader may configure a number of losing tradesthat a trader may incur while being controlled by a specific filter. Insuch an embodiment, if a trader's P/L level drops to a level that shouldenable a more restricting filter, and the number of trader's losingtrades while the trader's was controlled by the higher filter was lowerthan the configured value, then, the less restricting filter may stillcontrol the trader's trading until another losing trade is detected, forexample. In one embodiment, a number of losing trades that would allow atrader to remain under the control of the less restricting filter couldbe user configurable.

[0105] It should be understood that other filters could also be used,and additional filters have been described in greater detail in U.S.patent application Ser. No. 10/355,471, filed on Jan. 31, 2003, entitled“System and Method for Money Management in Electronic TradingEnvironment,” the contents of which are fully incorporated herein byreference.

[0106] Once a trader defines one or more money management filters, thetrader may view the trader-related data as well as any filter conditionsbeing currently imposed on each tradeable object via another graphicalinterface. FIG. 10 is a block diagram illustrating a monitoringinterface that allows a trader to view market conditions and limitationsimposed on each tradeable object or a group of the tradeable objectsassociated with the created filters. As shown in FIG. 10, the moneymanagement monitoring interface 1000 displays a name of each profile1002, a name or names of tradeable object(s) 1004 associated with eachprofile, “limits on” indicators 1006 that may be used to enable filtersfor the specific tradeable object, a quantity associated with workingorders 1008, a trader's net position 1010, a maximum P/L 1012 and aminimum P/L 1014 determined for a trader during a trading day, a currentP/L 1016, as well as effective current limits 1018 including a maximumnet position and a maximum order quantity that are currently imposed ona trader based on the trader's current P/L level. It should beunderstood that when a profile is created for more than one tradeableobject being traded by a trader, the current P/L 1016 may display theP/L level associated with each tradeable object as well as the combinedP/L level associated with all or some tradeable objects in the profile.It should be understood that the current P/L 1016 can be associated withany P/L specified by the trader such as an Open, Realized, Net P/Llevel, or the combination thereof. It should be understood that a tradermay add or delete columns in the money management interface 1000 andspecify which of the described or additional parameters are to bedisplayed via the interface.

[0107] According to an example embodiment, trader's profit relatedinformation as well as filter related information may be displayed to atrader via a single graphical interface. FIG. 11 is a block diagramillustrating a graphical interface 1100 that displays trader related P/Linformation in combination with money management filter related data.The graphical interface 1100 displays a number of filter triggers 1126associated with a plurality of P/L trigger levels that, in this example,are associated with Net P/L trigger levels. According to an exampleembodiment, each P/L trigger level maps to one or more filters defininga maximum order quantity and a maximum net position. More specifically,and as illustrated in FIG. 11, when a trader's Net P/L reaches one ofthe P/L triggers 1126, the trigger corresponding to the trader's Net P/Llevel may be highlighted so that the trader can easily tell which filterlevel or filter band is used to currently control the trader's trades.

[0108] When the trader reaches one of the predetermined P/L levelcorresponding to the triggers 1126, the graphical interface 1100 maydisplay via a money management filter region 1104 one or more filterscorresponding to that P/L trigger. As illustrated in FIG. 11, the P/Ltrigger level of 300 corresponds to four filters including the mainfilter 1128, and three loss-limiting filters 1130, 1132, and 1134. Themain filter 1128 controls the orders being sent by a trader to anexchange when the trader's open P/L level is between 300 and 450 profitlevels. More specifically, the filter 1128 limits the order quantitythat a trader may submit to the exchange to the maximum order quantityof 44, and further limits the trader's net position to the maximum netposition of 88. However, if the trader's profit level does not reach thehigher profit trigger, e.g., 450 in this example, and instead drops tothe profit level lower than 300, then one of the loss-limiting filterscorresponding to the Net P/L trigger level of 300 controls the trader'sorders. For example, if the trader's Net P/L drops to a profit levelbetween the 200 and 300 profit range, filter conditions associated withthe filter 1130, e.g., a maximum order quantity of 31 and a net positionof 62, may control the orders being sent by the trader. Similarly, whenthe trader's profit is in the profit range of 200 and 150, filterconditions associated with the filter 1132, including a maximum orderquantity of 24 and a maximum net position of 48, control the trader'sorders being sent to the exchange. Finally, when the trader's profitlevel reaches the profit level below 150, the trader is limited to theorder quantity of 16 and a net position of 0 so that a trader is forcedto trade out rather than to submit orders that increase the trader's netposition.

[0109] It should be understood that once a trader is in a predeterminedfilter band, such as the one shown in FIG. 11, the trader's trading iscontrolled by the filter conditions of that band. In the exampleembodiment of FIG. 11, once a trader reaches the P/L of 450, filters1128, 1130, 1132, and 1134 associated with the filter trigger of 450 maycontrol the trader's trading. Similarly, once the trader's P/L drops tothe P/L level of 180, the trader's trading will be controlled by thefilter conditions associated with the filter 1132 rather than some otherfilter that is associated with a different band and having the same P/Llevel as one of its filter criteria.

[0110] Additionally, it should be understood that the present inventionis not limited to the graphical interface described in reference to FIG.11. Alternatively, instead of displaying a plurality of filters withinthe money management region 1104, the money management region 1104 maybe color-coded so that, for example, different colors or differentshades of the same color correspond to different sets of moneymanagement parameters, such as different maximum order quantities andmaximum net positions. Different embodiments are possible as well.

[0111] According to one embodiment, in addition to selecting applicablefilters based on the profit levels, other methods may be provided to atrader to further control filter selection. One example method is apermanent pullback that prevents the trader from advancing to a higherfilter once the trader drops to the lower one. To illustrate thepermanent pullback option, lets assume that the trader's trades arebeing initially controlled by the filter 1130, and then the traderstarts losing money and drops down to the lower filter such as thefilter 1132. With the permanent pullback enabled, even when the traderadvances back to the profit level associated with the filter 1130, thetrader is still limited by the filter conditions associated with thefilter 1132.

[0112] In one embodiment, even with the permanent pullback enabled, atrader may be able to advance to a higher filter only when the tradergets to a profit level that advances the trader to another filter band,such as P/L of 450 in FIG. 11. It should be understood that twoindicators associated with the permanent pullback option and the bandadvance option may be displayed to a trader when the filter configuresfilter parameters via a filter configuration window. However, it shouldbe understood that a trader may enable the permanent pullback at anytime during trading as well. Additionally, it should be understood thatthe permanent pullback could be disabled at other times of the trader'strading, such as when the trader advances a predetermined number offilters within the filter band.

[0113] In addition to displaying a number of money management filters,the money management region 1104 also displays profit indicators thatare dynamically updated during a trading day to reflect current profitlevels associated with the trader. It should be understood that a tradermay select which of the profit indicators are displayed via the moneymanagement filter region 1104. FIG. 11 illustrates two P/L indicatorsincluding a Net P/L indicator 1124 and a Realized P/L indicator 1122that are dynamically updated throughout the trading day upon detecting achange in the corresponding profit levels. As shown in FIG. 11, theRealized P/L is at 175, and the Net P/L is at 400. It should beunderstood that a trader may configure graphical representation of eachprofit indicator, such as the shape or color of each indicator, so thatthe trader can easily distinguish between the two or more indicators.

[0114] Also as shown in FIG. 11, the profit indicators correspond to apredetermined tradeable object, here the tradeable object XS 1102.However, alternatively, additional profit indicators could be displayedvia the money management region 1104, such as overall profit indicatorsdetermined based on P/L levels associated with all or some tradeableobjects being traded by the trader. Further, as explained in referenceto FIGS. 6 and 7, the money management filter region 1104 could alsodisplay a plurality of P/L indicators determined based on working ordersthat a trader has on the market. It should be understood that if atrader has a large number of working orders on the market, the potentialprofit levels associated with those orders may be combined and displayedusing a single P/L indicator.

[0115] The graphical interface 1100, in addition to the graphicalindicators, may also display a number of numerical indicators. Asillustrated in FIG. 11, the indicators include a working buy orderindicator 1106 that displays a working buy quantity of 20, a workingsell order indicator 1108 that displays a working sell quantity of 0,and a trader's net position 1110 that displays a trader's net positionof −20. In addition to displaying P/L levels using graphical indicators,the P/L levels may be displayed using numerical P/L indicators 1112. TheP/L indicators 1112 correspond to the Net P/L levels and include themaximum Net P/L level of 414 that the trader has held during the tradingday, the minimum Net P/L level of −249, and the current Net P/L level of400. It should be understood that the profit levels may be distinguishedusing different colors or graphical indicators.

[0116] It should be understood that the graphical interface could alsodisplay numerical indictors related to other types of P/Ls such asRealized and/or Open P/L levels. As illustrated in FIG. 11 at 1114 and1116, instead of defining one maximum order quantity, each filter may beassociated with different maximum order quantities depending on whethera trader submits a buy or sell order. The graphical interface 1100 mayalso display numerical indicators 1118 and 1120 associated with themaximum order quantity and the maximum position that a trader may holdbased on the trader's current profit level. In FIG. 11, numerical valuesfor the indicators 1118 and 1120 are determined based on the trader'snet P/L level associated with the tradeable object XS 1102. However, itshould be understood that the values may be determined based on anyuser-configurable profit level associated with one or more tradeableobjects being traded by one or more traders.

[0117] A trader may also use the money management filter region 1104 forfilter configuration purposes. For example, when the graphical interface1100 is opened for the first time, the money management filter region1104 can display a plurality of default filter/money management regionssuch as the regions 1128, 1130, 1132, and 1134. Then, a trader may clickon each of the regions to configure the maximum order quantity, themaximum net position, and the profit range for each of the regions. Inone embodiment, a trader may simply change default values beingdisplayed in association with each filter to desired values.Alternatively, a trader may click on the filter region, and a pop-upwindow could be displayed via which a trader may enter filter criteriaand conditions for one or more filters. In another embodiment, a tradermay configure the filters using a configuration interface such as theone illustrated in FIG. 9, for example, and once the configuration isfinished, the configured filters may be displayed via the moneymanagement filter region 1104. Alternatively, a trader may simply dragthe boundaries of each filter region to desired locations correspondingto a predetermined profit range, as well as a maximum order quantity anda maximum net position.

[0118] Alternatively, a configuration selection input may be displayedon the graphical interface 1100 that, when selected, may invoke anotherwindow via which the trader can configure a number of filters for eachof the trigger levels. FIG. 12 is a block diagram illustrating anexample graphical interface 1200 via which a trader can configure aplurality of filters for each of the P/L trigger levels. The graphicalinterface 1200 may be invoked when the trader specifies P/L triggerlevels via the graphical interface 1200 and then selects a configurationselection input to configure a plurality of money management filters foreach of the levels, for example. The graphical interface 1200 displaysonly three P/L trigger levels; however, it should be understood that atrader could specify more or fewer trigger levels. Each profit level maybe displayed in association with a plurality of default filter regions1202, 1214, and 1224, and a trader may configure numerical values foreach filter criteria and filter conditions by simply modifying defaultvalues being displayed in association with each filter to the desiredvalues, or by dragging the edges of each filter to the desired profit,quantity and net position levels.

[0119]FIG. 12 illustrates three profit trigger levels including P/Ltrigger levels of 150, 300, and 450, respectively. Each of these P/Ltrigger levels is then associated with a plurality of filters, so that,for example, the P/L trigger 450 is associated with five filters 1204,1206, 1208, 1210, and 1212, and the P/L triggers 300 and 150 areassociated with four filters each, 1216, 1218, 1220, and 1222 for theP/L trigger 300, and filters 1226, 1228, 1230, and 1232 for the P/Ltrigger 150. However, it should be understood that more or fewer filterscould be configured for each P/L trigger level. For example, a tradermay simply select an add selection input 1234, 1240, or 1246 beingdisplayed in one of the P/L trigger regions to add another filter tothat P/L trigger level. Similarly, a trader may delete one or moredefault filters by first selecting a default filter block in the P/Ltrigger region 450, and then selecting a delete selection inputcorresponding to that region, such as one of the delete selection inputs1236, 1242, and 1248. Once a trader configures all filters for a P/Ltrigger, the trader can then save the filters by simply selecting acorresponding save selection input such as one of the save selectioninputs 1238, 1244, or 1250, respectively, depending on which P/L triggerlevel the filters correspond to.

[0120] The money management filters are not limited to the filtersdescribed above, and more or fewer filters could be created for atradeable object. Some of the additional filters may be time-based sothat they are triggered at specific time periods. In addition to timebeing a trigger, the time-based filters may also have other triggers,such as triggers related to trader data, exchange data, or data fromoutside sources. For example, a set of time-based filters may be createdto complement any other filter conditions when a predetermined timeperiod is detected. In such an embodiment, when two or more filterconditions conflict, the more conservative one will control. Forexample, a time-based filter, such as a filter effective between 8 a.m.and 9 a.m., may be triggered upon receiving an employment number. Oncethe employment number is detected, the filter may prevent the traderfrom trading or limit the trader to trading very small order quantities.In one embodiment, time-based filters may be configured to completelyoverwrite any other filter conditions for the time period associatedwith the time-based filter. It should be understood that differentoutside triggers could also be used in addition to the employmentnumbers. For example, during the last twenty minutes of trading beforethe market closes, any filters that are applied to trader's orders maybe overridden or supplement by filter conditions of another set offilters created for the market closing time period. Such filters may bedesigned so that the trader completely trades out of his positions.

[0121] In one embodiment, a graphical interface, in addition to theapplicable filter band and P/L indicators, could also display indicatorsassociated with time-based filters. FIG. 13 is a block diagramillustrating a graphical interface 1300 for displaying a moneymanagement filter band in combination with P/L indicators and time-basedfilter indicators. The graphical interface 1300 includes a time-basedfilter region including a plurality of time-based filter indicators1304, 1306, and 1308. For example, the first indicator 1304 maycorrespond to an employment number filter, the second indicator 1306 maycorrespond to one or more filters that are triggered based on some newsevent, and the third filter 1308 may correspond to the market closingtime-based filter.

[0122] It should be understood that each filter may be labeled with anindicator defining the type of the filter, and the time-based filtersmay overlap. When the time-based filters overlap, the most conservativeconditions may be control the order parameters. Alternatively, if thereis more than one filter that controls order parameters at any giventime, a trader or a system administrator may control which one of themwill be applied to orders being sent to the exchange. For example, eachfilter may be assigned a predetermined priority level so that when morethan one filter is applicable during a predetermined time period, onlyfilter conditions associated with filters having the same prioritylevels are merged. It should be understood that different methods fordetermining which filter conditions should apply at any given timeperiod could also be used, and the present embodiments are not limitedto labeling each filter with a priority level. Further, other filterscould be created to turn all filter restrictions off for a predeterminedtime period so that a trader can trade any order quantities and can holdany net position that the trader desires during the time period definedby the order.

[0123] It should be understood that time-based filters may be configuredusing the methods described above, and each time-based filter may beassociated with one or more filter bands including one or more filters.Additionally, once the time-based filter is triggered, the time-basedfilters may be displayed via the money management window so that thetrader may quickly and easily view the applicable filters. In oneembodiment, the time-based filter may be superimposed over any otherfilters displayed via the interface such as in the embodimentillustrated in FIG. 13, where the time-based filter 1310 is displayed incombination with other applicable filters. It should be understood thatdifferent configurations are possible as well, and a trader mayconfigure the interface so that only the most conservative of theapplicable filters is displayed via the interface, or when the filtersare superimposed, the overlay of the filters can be shaded so that thetrader can easily view a maximum order quantity and a maximum netposition for different profit ranges.

[0124] Once the filter conditions such as the maximum order quantity andthe maximum net position are configured, a trader or a systemadministrator may verify the filter conditions by applying differentdrop off loss conditions to the created filter. FIG. 14 is a graphicalinterface 1400 that may be used for verifying and changing filterconditions configured by a trader or a system administrator usingdifferent potential profit loss conditions. The graphical interface 1400includes a money management filter window that displays a plurality ofmoney management filters 1404, 1406, 1408, and 1410 created for a traderor a group of traders trading a tradeable object XS 1402. Once thefilters are displayed, a trader or a system administrator may enable adisplay of potential profit indicators to verify if the filters havebeen set up according to his/her needs. For example, in FIG. 14, aplurality of one-tick potential profit loss indicators 1412, 1416, 1418,and 1420 are displayed, and the slope of each indicator is determinedbased on a single tick loss (a number of contracts*tick loss percontract) so that, for example, referring to the first filter, a onetick profit loss for 50 contracts corresponds to 50 ticks of P/L loss,as shown on the x-axis. It should be understood that even though theslope corresponding to a one tick loss should be 1:1, the slope of thedisplayed potential profit loss indicators, as illustrated in FIG. 14,is not a 45-degree line since the scales on the two axis correspondingto the quantity axis and the profit level axis are different.

[0125] Referring to FIG. 14, the indicator 1412 corresponds to a onetick profit loss and may be used by a trader or system administrator todetermine if the set filter configurations are what the trader reallyanticipated. For example, based on the indicator, the trader may quicklydetermine that a loss of one tick at the net position of 50 will resultin the trader's dropping out of the first filter associated with themaximum net position of 50 and the maximum order quantity of 30. If thisis what a trader desires, the trader may leave the filter configurationunchanged. Alternatively, the trader may increase the profit rangecorresponding to the filter 1404 so that a higher loss is allowed beforeanother filter such as the filter 1406 controls the trader's trading.

[0126] The indicator 1412 could also be used to visually and quicklydetermine what would happen at other net positions levels. For example,as shown in FIG. 14, if the trader's Realized P/L level were at 500 andthe trader then trades so that his/her net position becomes 45, thetrader can easily determine that a loss of one tick (Δ1) would keep thetrader in the same filter, however, a loss of two ticks (Δ2) would movethe trader to the second, more restricting, filter 1406, where thetrader's maximum order quantity and net position would be lowered to 20and 40, respectively.

[0127] Similarly, referring to the filter 1406, the indicator 1416 alsocorresponds to one tick loss, and as shown in FIG. 14, if the trader'snet position were 15, the trader would be allowed to lose about 5 ticksbefore his trades would be controlled by less favorable filterconditions of the filter 1408. It should be understood that the profitloss indicators are not limited to the one tick loss indicators, and theindicators could be based on any number of ticks, such as 2, 3, 4, andcould be user-configurable. Alternatively, the money managementapplication or the trading application may determine an average tickloss associated with the trader's trades, and another indicatorassociated with the trader's average tick loss may be displayed inaddition to any other indicators. It should be understood that theindicators may be distinguished using different colors or differentindicator types that could be user-configurable.

[0128] In addition to verifying filter configurations during filter setup, the profit loss indicators may be used to provide a trader with aquick indication of a potential risk before a trader enters into anyposition. According to one embodiment, a potential profit loss indicatormay be displayed to a trader in relation to the Realized P/L indicator.Further, the indicator may be displayed when the money managementapplication detects that the trader's net position is equal to zero, sothat before the trader decides to enter any new orders, the trader canquickly view his/her potential risk based on different potential orderquantities.

[0129]FIG. 15 is a block diagram illustrating an interface 1500 thatdisplays potential profit loss indicators in relation to a trader'sRealized P/L indicator. The interface 1500 displays a money managementwindow 1504 including a plurality of money management filters 1506,1508, 1510, and 1512. Further, the money management interface 1500displays a profit loss indicator 1514 in relation to the Realized P/Lindicator 1516. In one embodiment, the indicator 1514 may be displayedto a trader when the trader's net position is flat so that before atrader enters any new orders, the trader can easily view his potentialprofit losses based on the order quantity that the trader is planning totrade. Further, using the indicator 1514, the trader may easily predicthis potential filter drop, e.g., a filter that would control thetrader's trades, if the market goes against his position. It should beunderstood that in addition to showing the potential profit lossindicators, such as the indicator 1514, the graphical interface 1500could also display indicators related to positive market movements,e.g., indicators corresponding to the potential profit gain rather thanloss. In such an embodiment, for example, a one tick potential profitgain indicator could be displayed, where the indicator's slope would benegative, rather than positive as in the indicator 1514.

[0130] Referring to FIG. 15, the Realized P/L indicator corresponds to acurrent Realized P/L level of 460, and the profit loss indicator 1514may be used to determine where the trader's profit would be and whatfilter would control the trader's trading if the trader were to enterinto a position between 1 and 50 as defined by the first filter. Forexample, if a trader enters one or more orders so that a trader's netposition becomes 45, a trader is risking a drop to the third filter 1510and a loss of 90 ticks if the market were to move two ticks against thetrader's position. Further, for example, the trader can easily determinethat keeping the net position of 30 rather than 45 would result in amuch smaller risk and much smaller profit loss. First the loss of twoticks would cause the trader's trading to be controlled by the secondfilter 1508 rather than the third filter 1510, and the P/L loss that thetrader would incur would be much lower compared to the loss of two tickswhen the trader's position is 45. However, rather than viewing potentialP/L in terms of losses, a trader may view potential P/L in terms ofprofit gains so that the higher net position would result in much higherprofit gain compared to the lower potential net position. Therefore,another set of potential gain profit indicator could be displayed inaddition to potential loss indicators for a plurality of marketmovements.

[0131] In addition to the maximum order quantities and maximum netposition associated with each filter, a trader or an administrator maycreate a plurality of trade-out exceptions to enable a trader to exithis open positions. Such exceptions may be used when the market movesagainst the trader's position causing the trader's orders to becontrolled by a filter associated with a maximum net position that issignificantly lower than the position being currently traded by thetrader so that the trader is forced to lower his position by selling orbuying until he reaches the maximum net position, for example.

[0132] To illustrate one example trade-out mechanism, let's assume thatat time t_(o), a trader is holding a net position of 40 and has noworking orders on the market, and the money management filter thatcontrols the trader's orders based on the trader's current open P/Llevel, for example, is associated with a maximum net position of 50, anda maximum order quantity of 15. Then, let's assume that at time t₁, themarket moves against the trader position, causing the trader's orders tobe controlled by a different filter associated with a maximum netposition of 15, and a maximum order quantity of 7. However, because thetrader's net position of 40 is much higher than the maximum net positionof 15 associated with the current filter, the trader will not be able tosend orders to the market quickly enough to get out of his position incase of unfavorable and fast market movements. In such an embodiment, aset of trade-out rules may be created to enable a trader to lower hisposition to the one specified by the controlling filter. Such overridingrules may be automatically enabled whenever a limit condition such asthe one explained above is detected. Alternatively, a user selectioninput may be displayed to a trader when such a condition is detected,and the trader may enable the trade-out mechanism by selecting such aselection input.

[0133] According to one example embodiment, a trade-down quantity may befirst calculated to enable a trader to trade down to the maximum netposition associated with the current filter. The trade-down quantity maybe calculated by first subtracting the current trader's position fromthe maximum net position associated with the filter, and then taking theabsolute value of the result, which in the example presented above wouldbe |15−40|=25. Then, the trade-out quantity may be determined by takingthe maximum of the absolute value calculated above and the maximum orderquantity associated with the filter, which would be 25 in the aboveexample, i.e., max (25,7). Therefore, using such a mechanism, the tradercan submit a sell order of 25, which when filled, would cause thetrader's net position to reach the maximum net position of 15.

[0134] Another rule may be created if the trader wants to trade down tozero when the trader has the working order of 25 pending on the market.Once again a user selection input may be provided via the interface toenable the trader to select such an option. The maximum trade-down tozero quantity may be determined by taking the minimum of the workingquantity (25 in this example) and a difference between the trader's netposition (40) and the working quantity (25), thus, taking minimum(25,15) in this example, which is 15. It should be understood thatdifferent or equivalent trade-out mechanisms could also be used, and thepresent invention is not limited to the embodiment illustrated above.Further, for example, a set of rules may be created limiting pricelevels at which a trader can place the trade-out orders on the market.

[0135] It should be understood that the above description of thepreferred embodiments, alternative embodiments, and specific examples,are given by way of illustration and should not be viewed as limiting.Further, many changes and modifications within the scope of the presentembodiments may be made without departing from the spirit thereof, andthe present invention includes such changes and modifications. Forexample, the present invention is not limited to the filterconfigurations described hereinbefore, and those skilled in the art willunderstand that different configuration methods could also be used.

[0136] Further, it will be apparent to those of ordinary skill in theart that methods involved in the system and method for money managementin an electronic trading environment may be embodied in a computerprogram product that includes one or more computer readable media. Forexample, a computer readable medium can include a readable memorydevice, such as a hard drive device, CD-ROM, a DVD-ROM, or a computerdiskette, having computer readable program code segments stored thereon.The computer readable medium can also include a communications ortransmission medium, such as, a bus or a communication link, eitheroptical, wired or wireless having program code segments carried thereonas digital or analog data signals.

[0137] The claims should not be read as limited to the described orderor elements unless stated to that effect. Therefore, all embodimentsthat come within the scope and spirit of the following claims andequivalents thereto are claimed as the invention.

What is claimed is:
 1. A method for money management in an electronictrading environment, the method comprising: entering an order to be sentto an electronic exchange, wherein the order is associated with atradeable object; determining a trader's net profit level based at leastin part on a trader's net position associated with the tradeable objectand a current market level; based on the trader's net profit level,determining a set of money management parameters to be used to controlorder parameters associated with the order; and applying the set ofmoney management parameters to the order before the order is sent to theexchange.
 2. A computer readeable medium having stored thereininstructions to execute the method of claim
 1. 3. The method of claim 1,wherein the net profit level is determined using a followingrelationship: Net profit level=(sells−buys)+(net position×market price).4. The method of claim 3, wherein the market price comprises a lasttraded price.
 5. The method of claim 1, wherein the set of moneymanagement parameters to be used to control order parameters associatedwith the order comprises a maximum order quantity and a maximum netposition.
 6. The method of claim 5, wherein applying the set of moneymanagement parameters to the order before the order is sent to theexchange comprises: if an order quantity associated with the order ishigher than the maximum order quantity, modifying the order quantity tothe maximum order quantity; and sending the modified order to theelectronic exchange.
 7. The method of claim 5, wherein applying the setof money management parameters to the order before the order is sent tothe electronic exchange comprises: determining a trader's net position;and if the trader's net position is higher than the maximum net positionassociated with the set of parameters, preventing the order from beingsent to the exchange if the order were to increase the trader's netposition.
 8. The method of claim 1, further comprising: defining aplurality of money management filters, wherein each filter is associatedwith at least one filter criteria comprising at least one profit level,and wherein each filter is further associated with a set of moneymanagement parameters comprising a maximum order quantity and a maximumnet position, and wherein the plurality of money management filters areapplied to the order before the order is sent to the electronicexchange.
 9. The method of claim 1, further comprising: determining anoverall net profit level based on trader's net positions associated witha plurality of tradeable objects being traded by a trader and furtherbased on current market levels associated with each of the plurality oftradeable objects, wherein the overall net profit level is used todetermine a set of money management parameters to be used to control theorder parameters associated with the order.
 10. The method of claim 1,further comprising: determining a realized profit level based ontrader's buys and sells associated with the tradeable object; and usingthe realized profit level to determine the set of parameters to be usedto control the order parameters associated with the order.
 11. Themethod of claim 10, wherein the realized profit level is determinedusing a following relationship: Realized profit level=Sells−Buys. 12.The method of claim 10, further comprising: determining an open profitlevel based on the realized profit level and the net profit level; andusing the open profit level to determine the set of money managementparameters to be used to control the order parameters associated withthe order.
 13. The method of claim 12, wherein the open profit level isdetermined using a following relationship: Open profit level=Net profitlevel−Realized profit level.
 14. The method of claim 1, furthercomprising: defining a plurality of time-based money managementparameter sets, wherein each time-based money management set isassociated with at least a time-based trigger criteria and at least onemoney management condition for controlling the order parameters;determining at least one applicable time-based money managementparameter set based on time of day; and applying at least one moneymanagement condition associated with the at least one applicabletime-based money management parameter set to the order.
 15. The methodof claim 1, wherein the set of money management parameters are furtherdetermined based on data from outside sources.
 16. The method of claim1, wherein the set of money management parameters are further determinedbased on data being received from at least one electronic exchange. 17.The method of claim 1, further comprising: determining a profit levelassociated with a working order; and using the profit level associatedwith the working order to select the set of money management parametersto be used to control order parameters associated with the order.
 18. Amethod for money management in an electronic trading environment, themethod comprising: defining a first plurality of money managementfilters, wherein each filter is associated with at least one filtercriterion and filter condition, wherein the at least one filtercriterion comprises at least a net profit level, and wherein the atleast one filter condition comprises at least one maximum order quantityand maximum net position that are used to control order parameters;entering an order to be sent to an electronic exchange, wherein theorder is associated with a tradeable object; determining a net profitlevel for a trader based at least in part on a trader's net position anda current market level; based on the net profit level, selecting a firstmoney management filter to control order parameters associated with theorder; and modifying an order quantity associated with the order to afirst maximum order quantity associated with the first selected moneymanagement filter if the order quantity is higher than the first maximumorder quantity.
 19. A computer readable medium having stored thereininstructions to execute the method of claim
 18. 20. The method of claim18, wherein the first plurality of money management filters are dividedinto a plurality of filter bands, wherein each filter band is triggeredupon detecting a band triggering net profit level, and wherein eachfilter band comprises a plurality of money management filters.
 21. Themethod of claim 20, wherein each of the plurality of money managementfilters within the filter band triggers upon detecting a predeterminednet profit level that is lower than the band triggering net profitlevel, and wherein orders being sent by the trader are controlled by theplurality of money management filters within the filter band until atrader reaches a higher band triggering net profit level associated witha next filter band.
 22. The method of claim 18, wherein the net profitlevel comprises an overall profit level determined based on a pluralityof net positions associated with a plurality of tradeable objects beingtraded by the trader, and wherein the overall profit level is furtherdetermined based on a plurality of last traded prices associated withthe plurality of tradeable objects.
 23. The method of claim 18, whereinthe net profit level is determined using a following relationship: Netprofit level=(sells−buys)+(net position×market price).
 24. The method ofclaim 18, further comprising: defining a second plurality of moneymanagement filters, wherein filter criteria associated with the secondplurality of money management filters are based on a plurality ofrealized profit levels, and filter conditions associated with each ofthe second plurality of money management filters are associated with atleast a maximum order quantity and a maximum net position; determining arealized profit level associated with a trader based on trader's buysand sells associated with the tradeable object; based on the realizedprofit level, determining if a second money management filter associatedwith the second plurality of money management filters is applicable tothe order; and applying filter conditions associated with the secondfilter to the order parameters, wherein if filter conditions associatedwith the first filter are different than the filter conditionsassociated with the second filter, the most conservative filterconditions are selected to control the order parameters.
 24. The methodof claim 23, wherein the realized profit level is determined using afollowing relationship: Realized profit level=Sells−Buys.
 25. The methodof claim 23, further comprising: defining a third plurality of moneymanagement filters, wherein filter criteria associated with the thirdplurality of money management filters are based on a plurality of openprofit levels, and filter conditions associated with each of the thirdplurality of money management filters are associated with at least amaximum order quantity and a maximum net position; determining an openprofit level based on the realized profit level and the net profitlevel; based on the open profit level, determining if a third filter ofthe third plurality of money management filters is applicable to theorder; and applying filter conditions associated with the third filterto the order parameters, wherein if the filter conditions associatedwith the third filter are different than filter conditions associatedwith the first and second filter, the most conservative filterconditions are selected to control the order parameters.
 26. The methodof claim 25, wherein the open profit level is determined using afollowing relationship: Open profit level=Net profit level−Realizedprofit level.
 27. The method of claim 18, further comprising: defining aplurality of time-based filters, each time-based filter associated withat least a time-based trigger criteria and a set of filter conditionsfor controlling the order parameters; and applying the plurality oftime-based filters to the order before the order is sent to theexchange.
 28. The method of claim 27, wherein the plurality oftime-based filters are further associated with filter criteria beingtriggered based on data from outside sources.
 29. A system for moneymanagement in an electronic trading environment, the system comprising:a trading application for entering an order to an electronic exchange,wherein the order is associated with a tradeable object; and a moneymanagement application for intercepting the order before the order issent to the exchange and dynamically determining at least one profitlevel based on a trader's net position and a current market levelassociated with the tradeable object, and based on the at least oneprofit level, applying to the order a plurality of money managementparameters before the order is sent to the exchange.
 30. The system ofclaim 29, wherein the plurality of money management parameters comprisesa maximum order quantity and a maximum net position.
 31. The system ofclaim 30, wherein the money management application is further configuredto lower an order quantity to the maximum order quantity if the orderquantity is higher than the maximum order quantity.
 32. The system ofclaim 29, wherein the plurality of money management parameters areassociated with at least one money management filter that is selectedbased on the at least one profit level.
 33. The system of claim 32,wherein the at least one money management filter comprises a time-basedfilter.
 34. The system of claim 30, wherein the at least one moneymanagement filter comprises a filter that is further triggered based ondata from outside sources.
 35. The system of claim 29, wherein the atleast one profit level comprises a net profit level determined based onthe trader's net position and a current market level.
 36. The system ofclaim 35, wherein the net profit level is determined using a followingrelationship: Net profit level=(sells−buys)+(net position×market price).37. The system of claim 35, wherein the money management application isfurther configured to determine a realized profit level based ontrader's sells and buys associated with the tradeable object, and to usethe realized profit level to dynamically determine the set of moneymanagement parameters to be applied to the order.
 38. The system ofclaim 37, wherein the realized profit level is determined using afollowing relationship: Realized profit level=Sells−Buys.
 39. The systemof claim 37, wherein the at least one profit level comprises an openprofit level determined based on the realized profit level and the netprofit level.
 40. The system of claim 39, wherein the open profit levelis determined using a following relationship: Open profit level=Netprofit level−Realized profit level.
 41. The system of claim 29, whereinthe money management application is further configured to determine atleast one overall profit level based on a plurality of net positions anda plurality of current market levels associated with a plurality oftradeable objects being traded by the trader, wherein the moneymanagement application is configured to determine the set of moneymanagement parameters to be applied to the order based on the at leastone overall profit level.